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ZIG trading system for Amibroker (AFL)
Rating:
2 / 5 (Votes 3)
Tags:
trading system, amibroker, exploration
A nice system based on ZIG ZAG
enjoy
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Indicator / Formula
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PositionSize = MarginDeposit = 1; Z=Optimize("Z",Param("Zig",2,.1,10,0.1),.1,10,.1); p=Param("Volume EMA",15,0,100,1); Buy = Cover = C>Ref(C,-1) AND Ref(C,-1)>Ref(C,-2) AND V>EMA(V,p) AND Zig(C,Z)>Ref(Zig(C,Z),-1) ; Sell = Short = C<Ref(C,-1) AND Ref(C,-1)<Ref(C,-2) AND V>EMA(V,p) AND Zig(C,Z)<Ref(Zig(C,Z),-1) ; Filter = Buy OR Sell OR Short OR Cover; Buy = ExRem(Buy,Sell); Sell = ExRem(Sell,Buy); Short = ExRem(Short,Cover); Cover = ExRem(Cover,Short); AddColumn( Ref(C,-2), "DAY BEFORE YESTERDAY " ); AddColumn( Ref(C,-1), "YESTERDAY " ); AddColumn( Close, "Close" ); AddColumn( V, "Volume" ); AddColumn( EMA(V,p), " EMA Volume "+P ); AddColumn( Zig(C,Z), "ZIG-ZAG" +Z ); PlotOHLC(O,H,L,C,"Price",IIf(C>O,colorGreen,colorRed),styleBar|styleThick); PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-40); PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorLime, 0,L, Offset=-50); PlotShapes(IIf(Buy, shapeUpArrow, shapeNone),colorWhite, 0,L, Offset=-45); PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorRed, 0, H, Offset=40); PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorOrange, 0,H, Offset=50); PlotShapes(IIf(Sell, shapeDownArrow, shapeNone),colorWhite, 0,H, Offset=-45); /*http://www.traders.com/documentation...ackissues.html go to 2009 Articles > June 2009 > Traders Tips LISTING 1*/ Version(5.20); // requires v5.20 SetBarsRequired(sbrAll); // get start date Start = Cross( DateNum(), ParamDate("Start date", "2005-10-30" ) ); Started = Flip( Start, 0 ); StopMode = ParamList("Stop Mode", "Fixed|Chandelier|Modified ATR" ); StopLevel = Param("Fixed perc %", 14, 0.1, 50, 0.1)/100; StopATRFactor = Param("ATR multiple", 4, 0.5, 10, 0.1 ); StopATRPeriod = Param("ATR period", 14, 3, 50 ); // calculate support and resistance levels if( StopMode == "Fixed" ) // fixed percent trailing stop { sup = C * ( 1 - stoplevel ); res = C * ( 1 + stoplevel ); } else // Chandelier ATR-based stop if( StopMode == "Chandelier" ) { sup = C - StopATRFactor * ATR( StopATRPeriod ); res = C + StopATRFactor * ATR( StopATRPeriod ); } else { HL = H - L; MAHL = 1.5 * MA( HL, StopATRPeriod ); HiLo = IIf( HL < MAHL, HL, MAHL ); H1 = Ref( H, -1 ); L1 = Ref( L, -1 ); C1 = Ref( C, -1 ); Href = IIf( L <= H1, H - C1, ( H - C1 ) - ( L - H1 ) / 2 ); Lref = IIf( H >= L1, C1 - L, ( C1 - L ) - ( L1 - H ) / 2 ); diff1 = Max( HiLo, HRef ); diff2 = Max( diff1, LRef ); ATRmod = Wilders( diff2, StopATRPeriod ); sup = C - StopATRFactor * ATRmod ; res = C + StopATRFactor * ATRmod ; } // calculate trailing stop line trailARRAY = Null; trailstop = 0; for( i = 1; i < BarCount; i++ ) { if( Started[ i ] == 0 ) continue; if( C[ i ] > trailstop AND C[ i - 1 ] > trailstop ) trailstop = Max( trailstop, sup[ i ] ); else if( C[ i ] < trailstop AND C[ i - 1 ] < trailstop ) trailstop = Min( trailstop, res[ i ] ); else trailstop = IIf( C[ i ] > trailstop, sup[ i ], res[ i ] ); trailARRAY[ i ] = trailstop; } // generate buy/sell signals based on crossover with trail stop line Buy = Start OR Cross( C, trailArray ); Sell = Cross( trailArray, C ); PlotShapes(Buy*shapeUpArrow,colorGreen,0,trailarray); PlotShapes(Sell*shapeDownArrow,colorRed,0,trailarray); Plot( Close,"Price",colorBlack,styleBar); SetBarFillColor( colorYellow ); Plot( trailARRAY,"trailing stop level", ParamColor( "Color", colorCycle ), ParamStyle("Style"));
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The last signal is of uncertain value because zig-zag looks into the future.
“It seems that the formula references FUTURE quotes.
If you backtest this system you may receive outstanding results
that CAN NOT be reproduced in real trading.”
ZIG trading system very good